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If she asks to "borrow" a cigarette, I'd make sure to remind her that you'll be wanting it back. Then if you see her at the bar again in the next week or two, you have an immediate opener. "Hey, you got that cigarette I loaned you last week? I'm fresh out" or something along those lines (remember to smile, it's a joke).
Frankly, when I smoked (I actually quit because I seldom meet chicks who smoke anymore and I got tired of reeking of cigarettes) I hated bumming smokes. To me it's akin to buying a girl a drink - they'll hang out for a certain amount of time because they think they owe it to you, but aside from that, you're just a guy that they used for something they wanted. I'd do it, because it's polite and lord knows I've bummer so many cigarettes in my life I couldn't even begin to count them, but I'd also do it because it was an easy opener.
On the other hand, I know how it can help. I'd bum a chick a cigarette, then if they went to leave before they were done smoking I'd say (with a big smile) something like "What, am I boring?". Plays on their guilt a little and will keep them there for you to work more game on them. Cheap trick, but whatever, it usually works.
Now, for my favorite, and it works so often it became my favorite routine with a girl who smoked but didn't have cigarettes (and even a girl who did have cigarettes that you'd already opened some other way). If I was at a bar or club or anywhere that made you smoke outside (bastards), and I bummed a cigarette to a girl, I'd dub them my new "smoking buddy" for the night. Then anytime I thought of something new to try, I'd grab them and say, "I need my smoking buddy, let's go smoke a cigarette outside" - instant isolation. Especially since they're not only likely to be the only smokers in their group, but are definitely in a group without cigarettes. Even if you're somewhere that allows smoking, it still works, and isolation isn't that big of a problem (assuming they're hesitant to go outside with you) - just suggest you go to another part of the bar, or off to the side "so our friends don't have to deal with our smoke". You don't have to be bumming them cigarettes to make this work, either.
Seriously, try the smoking buddy tactic. I have 'friends' I've only gone out with a handful of times over the years (separately), and they love to greet me "Hey! It's my smoking buddy!" when they see me. Follow with a enthusiastic high five or a quick hug and the suggestion to go outside and grab a smoke and you're golden. It builds rapport, and is a good opportunity to talk about that time you were at the hot club/bar/whatever and how much fun it was. We'll ignore the fact that I've only bedded a couple of them, because that's where my game is the weakest.
I just realized I didn't even kind of answer your question. If she wants to talk to you, it's not without reason that she'd use a cigarette as a way to open you. But there's a lot of variables here. Were you the only guy nearby smoking? If there were others, were they in big groups that seemed less approachable?
Honestly, no matter what the answer to any of those questions, any time a girl comes up to me and talks to me (for any reason), I take it as an opportunity to try and at least get her number. Women love stories like that "We actually met at a bar, believe it or not! I was out of cigarettes and went up to him and asked him for one. Who knew I had just walked up to the most charming, handsome, funny, awesome guy in the world?"
And never forget - the first thing every PUA and aspiring PUA in the world does is approach and open. To have a girl approach and open you, even if she doesn't know she's doing it, just made your night that much easier. At the very least, you can try and use the girl to build your social proof and maybe even use her as a pivot to open another set. Even if you don't want to use her as a pivot, or don't think you can, you're building social proof AND you're getting practice. Try new routines out on her, try a bunch of different openers, see if you can make her laugh.
+1
Shes getting something from you and you are just more then happy to give her what she wants-gold mine for cigs. SHE CAME BACK because she knew you would happily donate to a non-profit organisation. aka you wont profit from her.
Tell her to give you a backrub or something but make sure she pays for your cigarette by moving the interaction along quickly and surely to Kino and so on.
Have balls with this. She will react better and want to come back to you for more then cigs.
I carry a lighter (I dont smoke) and its won many a cool competition when another man pulls out his lighter. It doesnt get more cool then a genuine cammo Zippo that was found in a trout fishing dam after it had been run over by a car.
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The single greatest thing PUA taught me was to open my eyes.